Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0041 |
| Annualized Std Dev | 0.2181 |
| Annualized Sharpe (Rf=0%) | -0.0187 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4168.0000 |
| NAs | 1.0000 |
| Minimum | -0.1645 |
| Quartile 1 | -0.0048 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1969 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0137 |
| Skewness | 0.3033 |
| Kurtosis | 31.3046 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0099 |
| Gain Deviation | 0.0105 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0144 |
| Downside Deviation (Rf=0%) | 0.0099 |
| Downside Deviation (0%) | 0.0099 |
| Maximum Drawdown | 0.6757 |
| Historical VaR (95%) | -0.0188 |
| Historical ES (95%) | -0.0336 |
| Modified VaR (95%) | -0.0126 |
| Modified ES (95%) | -0.0126 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-03-02 | 2009-03-09 | NA | -0.6757 | 4042 | 1012 | NA |
| 2004-10-05 | 2004-10-28 | 2004-12-16 | -0.0469 | 52 | 18 | 34 |
| 2004-12-17 | 2004-12-21 | 2005-01-31 | -0.0382 | 30 | 3 | 27 |
| 2005-02-22 | 2005-02-22 | 2005-02-28 | -0.0238 | 5 | 1 | 4 |
| 2005-02-02 | 2005-02-03 | 2005-02-10 | -0.0128 | 7 | 2 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | 0 | -0.2 | 1.2 | -0.6 | 1.3 | 1.7 |
| 2005 | 0.4 | 0.3 | -0.9 | 0.5 | -1.7 | 0.2 | 0.3 | -1.5 | 1.1 | -1.2 | 1.5 | 1.1 | -0.1 |
| 2006 | -0.4 | 0.4 | 0.1 | -0.2 | 1.8 | 0.6 | 0.2 | 0.4 | -0.6 | -0.1 | 0.5 | 0.1 | 2.8 |
| 2007 | 0.7 | 0 | 0.4 | -0.7 | 0.3 | -0.7 | -0.5 | 1.1 | 0.5 | -1.9 | 0.4 | 0.7 | 0.3 |
| 2008 | 1.3 | -2 | 3.6 | 1.3 | 0.3 | -0.5 | -0.2 | -0.1 | 1.4 | 2.1 | -9.1 | 2.4 | -0.1 |
| 2009 | -3.7 | -2.3 | 2.8 | 1.3 | 2 | 1.2 | -0.4 | -1.2 | -1.6 | -2.6 | 2.8 | 1.5 | -0.4 |
| 2010 | 2.9 | 0.7 | 0.2 | -0.4 | -1 | -2.5 | 0.5 | 0.4 | 1.3 | -1 | 1.5 | 0.7 | 3.2 |
| 2011 | 1.1 | -1 | 1 | 0.1 | -1.7 | 1.3 | 0.2 | -1.2 | -2.7 | -2.9 | -0.2 | 0.3 | -5.7 |
| 2012 | 1 | -0.1 | 0.2 | 0.7 | -2.3 | 2.1 | 0.7 | 0.6 | -0.1 | 1.7 | -0.2 | 2.1 | 6.4 |
| 2013 | 0.8 | 0.2 | -0.2 | -0.6 | -1.5 | 1 | 0.8 | -0.1 | 1.5 | 0.2 | -0.1 | -0.3 | 1.8 |
| 2014 | -0.5 | 0.3 | 1 | 0.1 | 0.4 | 0.6 | -1.1 | 0.4 | -0.4 | 0.6 | -0.7 | -1 | -0.5 |
| 2015 | -0.5 | 0 | -0.6 | 0.7 | 0.1 | 0.8 | 0.8 | -2.6 | 2 | -0.2 | 0.7 | -0.4 | 0.8 |
| 2016 | 0.7 | 1.5 | 0.4 | -0.4 | 0.3 | -0.8 | 0.2 | -0.7 | 0.1 | -0.6 | -0.4 | -0.1 | 0 |
| 2017 | 0 | 2.1 | 0.8 | 0.5 | 0.6 | 0.1 | 0 | 0.4 | 0.3 | 0.2 | 0 | 0.1 | 5.1 |
| 2018 | 0.3 | -1.7 | 1.6 | -0.3 | 0.6 | -0.1 | 0.1 | -0.2 | 0.1 | 2.4 | 1 | -0.5 | 3.3 |
| 2019 | -0.4 | 0.7 | 1 | 0.1 | -1.2 | -0.5 | -0.9 | 0.4 | -1.1 | 0.5 | -0.7 | 0.5 | -1.7 |
| 2020 | -1 | -5.1 | -5.5 | -2.8 | 1.2 | 0.3 | 0.2 | 0.4 | 0.5 | -1.2 | 1.5 | 0.3 | -10.8 |
| 2021 | 1.5 | 1.8 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-08-27 20 SPY 111. 0.0032 0.0088 0.008 -0.0126 0.113 -0.0377 -0.183 <NA> NA NA NA
2 2004-08-30 20 SPY 111. -0.0083 0.003 -0.0028 -0.0206 0.097 -0.0555 -0.193 <NA> NA NA NA
3 2004-08-31 20 SPY 111. 0.0052 0.0069 0.0004 -0.0142 0.0953 -0.0471 -0.197 <NA> NA NA NA
4 2004-09-01 20 SPY 111. 0.0019 0.002 0.0101 -0.016 0.0829 -0.0647 -0.186 <NA> NA NA NA
5 2004-09-02 20 SPY 113. 0.0113 0.0133 0.0216 0.0044 0.0892 -0.0484 -0.166 <NA> NA NA NA
6 2004-09-03 20.0 SPY 112. -0.0041 0.006 0.0343 -0.0076 0.0842 -0.0383 -0.154 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
